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Forecasting autoregressive time series with bias-corrected parameter estimators

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  • Kim, Jae H.

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File URL: http://www.sciencedirect.com/science/article/B6V92-47K2YW8-3/2/734ea2961fff4f50fe42d6c7365ca948
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 19 (2003)
Issue (Month): 3 ()
Pages: 493-502

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Handle: RePEc:eee:intfor:v:19:y:2003:i:3:p:493-502

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  2. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  3. Orcutt, Guy H & Winokur, Herbert S, Jr, 1969. "First Order Autoregression: Inference, Estimation, and Prediction," Econometrica, Econometric Society, vol. 37(1), pages 1-14, January.
  4. Maekawa, Koichi, 1987. "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 3(03), pages 359-370, June.
  5. Nankervis, J. C. & Savin, N. E., 1988. "The exact moments of the least-squares estimator for the autoregressive model corrections and extensions," Journal of Econometrics, Elsevier, vol. 37(3), pages 381-388, March.
  6. Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.).
  7. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
  8. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  9. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
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Citations

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Cited by:
  1. Kim, Hyeongwoo & Durmaz, Nazif, 2009. "Bias Correction and Out-of-Sample Forecast Accuracy," MPRA Paper 16780, University Library of Munich, Germany.
  2. K. D. Patterson, 2007. "Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-45.
  3. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, School of Economics and Management, University of Aarhus.
  4. Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011. "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, vol. 27(3), pages 887-901, July.
  5. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  6. Jonas Andersson, 2006. "Searching for the DGP when forecasting - Is it always meaningful for small samples?," Economics Bulletin, AccessEcon, vol. 3(28), pages 1-9.
  7. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  8. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
  9. Tom Engsted & Thomas Q. Pedersen, 2014. "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, Open Access Journal, vol. 2(1), pages 45-71, March.
  10. repec:ebl:ecbull:v:3:y:2006:i:28:p:1-9 is not listed on IDEAS
  11. Falk, Barry & Roy, Anindya, 2005. "Forecasting using the trend model with autoregressive errors," International Journal of Forecasting, Elsevier, vol. 21(2), pages 291-302.

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